Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0005
Annualized Std Dev 0.2379
Annualized Sharpe (Rf=0%) 0.0023

Row

Daily Return Statistics

Close
Observations 3931.0000
NAs 1.0000
Minimum -0.1275
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0067
Maximum 0.1575
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0150
Skewness -0.2700
Kurtosis 12.2274

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0107
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6671
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0328
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6671 3369 339 NA
2006-05-10 2006-06-13 2006-10-12 -0.1478 109 24 85
2007-07-13 2007-08-16 2007-10-29 -0.1213 76 25 51
2007-02-27 2007-03-05 2007-04-05 -0.0765 28 5 23
2005-09-30 2005-10-21 2005-11-22 -0.0652 38 16 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA 1.5 -0.7 0.4 1.3 -0.5 2.1
2006 0.4 0.9 -0.5 -0.2 1 0.9 -0.6 0.6 -1.2 -0.3 -0.5 0.1 0.6
2007 0.9 -1.2 -0.2 -0.2 0.8 0.6 -0.4 2.1 1.6 -2.6 0.4 -0.9 0.7
2008 1.5 -2.7 3.1 0.5 0.6 -1.2 -1 -0.4 0.1 0.5 -8.1 1 -6.2
2009 -1.6 -0.6 3.4 1.6 3 1.4 1.3 -2.7 -2.9 -3.8 2.5 -0.9 0.4
2010 1.9 0.5 1.8 -1.3 -1.4 1.6 -0.5 3.5 1 -0.5 3.3 0.6 10.9
2011 2.7 -1.4 0.8 0.2 -2.5 1 -1.5 -1 -3.2 -3.9 -1.1 0.4 -9.3
2012 1.7 0.9 0.5 0.3 -2.2 3.8 -0.2 1.1 0.6 1 0.2 1.3 9.4
2013 0.5 -0.3 -1.3 -0.9 -2.2 0.8 1.1 -1.1 0.7 -0.6 0.2 0.3 -2.7
2014 -1.7 0.2 0.6 0.1 -0.1 0.8 -0.7 0 -1.1 1.8 -0.2 -0.7 -0.8
2015 -1.5 0 0.7 0.9 -0.5 0.3 0.5 -3.3 0.3 -0.1 1 -1.1 -2.8
2016 -0.6 2.6 -1.4 -0.5 -0.5 0.1 -0.9 0.7 0.8 -0.5 0.2 0.3 0.1
2017 0.3 1.3 -0.2 0.5 0.6 -0.1 0.6 0.1 0.6 0.3 -0.4 0 3.7
2018 0.3 -1.2 1 -0.3 0.9 0.5 -0.6 -0.8 0.2 1.2 -0.3 0.2 1
2019 -0.2 0.3 1.5 -0.7 -1 0.5 -0.9 0.4 -0.9 0.9 -0.8 0.3 -0.8
2020 -1.7 -0.7 -4.5 -2.6 2.2 0.1 -2.3 -0.2 0.1 0 2.4 -0.8 -7.7
2021 1.1 1.7 0 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-08-05  51.0 SPY    123. -0.0068  -0.007   0.0244    0.0494    0.15     0.419   -0.140 GLD    43.6 -0.0018   0.0182
2 2005-08-08  51.3 SPY    123. -0.0019  -0.0081  0.011     0.041     0.146    0.392   -0.148 GLD    43.4 -0.0057   0.0051
3 2005-08-09  51.9 SPY    123.  0.006   -0.008   0.0119    0.0582    0.140    0.357   -0.147 GLD    43.3 -0.0002   0.0046
4 2005-08-10  52.3 SPY    123. -0.0005  -0.0111  0.0088    0.0519    0.140    0.351   -0.153 GLD    43.6  0.0072   0.0028
5 2005-08-11  53.2 SPY    124.  0.004    0.0008  0.0114    0.0679    0.157    0.366   -0.154 GLD    44.4  0.0183   0.0176
6 2005-08-12  53.0 SPY    123. -0.0061   0.0015  0.00120   0.0634    0.148    0.383   -0.169 GLD    44.5  0.0009   0.0204
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart